## [1] "marketcap floor - 500"
## [1] "buckets_long_buy - 5"
## [1] "buckets_short_buy - 5"
## [1] "buckets_long_hold - 3"
## [1] "buckets_short_hold - 3"
## [1] "apply_score_change_effect - FALSE"
## [1] "altered_live_signal_history - FALSE"
## [1] "is_market_regime_included - TRUE"
## [1] "rebalancing - month"
## [1] "US Only"
## [1] "1.92" "-1.2"
## [1] "rebalance method is - simple"
## # Source: spark<regime_weights> [?? x 2]
## regime regime_weight
## <chr> <dbl>
## 1 All 0.5
## 2 Value_N 0.188
## 3 Value_P 0.0625
## 4 Equity_N 0.0625
## 5 Equity_P 0.188
## [1] "annualized trading costs are 0.0369886665354011"
##
## Annualized Return 0.2177
## Annualized Std Dev 0.1295
## Annualized Sharpe (Rf=0%) 1.6814
|
|
2018-12-01
|
2019-01-01
|
2019-02-01
|
2019-03-01
|
2019-04-01
|
2019-05-01
|
2019-06-01
|
2019-07-01
|
2019-08-01
|
2019-09-01
|
2019-10-01
|
2019-11-01
|
2019-12-01
|
2020-01-01
|
2020-02-01
|
2020-03-01
|
2020-04-01
|
2020-05-01
|
2020-06-01
|
2020-07-01
|
2020-08-01
|
2020-09-01
|
2020-10-01
|
2020-11-01
|
|
portfolio
|
-2.66%
|
7.64%
|
4.69%
|
-1.24%
|
8.73%
|
-0.59%
|
6.46%
|
0.19%
|
-0.22%
|
1.46%
|
2.17%
|
3.02%
|
1.78%
|
-3.50%
|
-5.14%
|
3.86%
|
0.00%
|
4.30%
|
-2.15%
|
6.31%
|
1.07%
|
0.80%
|
-1.15%
|
5.11%
|
|
spx
|
-4.86%
|
8.01%
|
3.21%
|
1.94%
|
4.05%
|
-6.35%
|
7.05%
|
1.44%
|
-1.58%
|
1.87%
|
2.17%
|
3.63%
|
3.02%
|
-0.04%
|
-8.23%
|
-12.35%
|
12.82%
|
4.76%
|
1.99%
|
5.64%
|
7.19%
|
-3.80%
|
-2.66%
|
10.50%
|
|
alpha
|
2.31%
|
-0.35%
|
1.43%
|
-3.12%
|
4.50%
|
6.16%
|
-0.55%
|
-1.23%
|
1.39%
|
-0.41%
|
0.01%
|
-0.59%
|
-1.20%
|
-3.46%
|
3.37%
|
18.50%
|
-11.36%
|
-0.44%
|
-4.06%
|
0.64%
|
-5.70%
|
4.78%
|
1.55%
|
-4.88%
|
|
|
factor
|
1 month
|
1 quarter
|
YTD
|
1 year
|
3 years (ann.)
|
5 years (ann.)
|
10 years (ann.)
|
15 years (ann.)
|
20 years (ann.)
|
Since Inception (ann.)
|
|
return
|
alpha
|
-3.21%
|
-2.24%
|
-3.83%
|
-6.26%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
2.11%
|
|
portfolio
|
0.42%
|
5.07%
|
9.20%
|
10.47%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
22.37%
|
|
spx
|
3.76%
|
7.48%
|
13.56%
|
17.85%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
19.84%
|
|
sharpe
|
alpha
|
-14.59%
|
-0.14%
|
28.23%
|
25.49%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
98.90%
|
|
portfolio
|
2.33%
|
36.57%
|
65.51%
|
77.67%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
173.49%
|
|
spx
|
16.92%
|
36.71%
|
37.28%
|
52.17%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
74.59%
|
|
vol
|
portfolio
|
18.07%
|
13.87%
|
14.05%
|
13.48%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
12.89%
|
|
spx
|
22.19%
|
20.37%
|
36.37%
|
34.22%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
0.00%
|
26.60%
|
